This ebook combines educational analysis and sensible experience on different belongings and buying and selling methods in a singular means. The asset courses which can be mentioned embrace: credit score danger, cross-asset derivatives, power, personal fairness, freight agreements, different actual belongings (ARA), and socially accountable investments (SRI). The protection on buying and selling and funding methods are directed at portfolio insurance coverage, particularly fixed proportion portfolio insurance coverage (CPPI) and fixed proportion debt obligation (CPDO) methods, strong portfolio optimization, and hedging methods for unique choices.
Chapter 1: Socially Responsible Investments (276 KB)
Socially Responsible Investments (S Hroβ et al.)
Listed Private Equity in a Portfolio Context (P Aigner et al.)
Alternative Real Assets in a Portfolio Context (W Mader et al.)
The Freight Market and Its Derivatives (R Kiesel & P Scherer)
On Forward Price Modeling in Power Markets (F E Benth)
Pricing Certificates Under Issuer Risk (B Götz et al.)
Asset Allocation with Credit Instruments (B Menzinger et al.)
Cross Asset Portfolio Derivatives (S Höcht et al.)
Dynamic Portfolio Insurance Without Options (D Dersch)
How Good are Portfolio Insurance Strategies? (S Balder & A Mahayni)
Portfolio Insurances, CPPI and CPDO, Truth or Illusion? (E Joossens & W Schoutens)
On the Benefits of Robust Asset Allocation for CPPI Strategies (Okay Schöttle & R Werner)
Robust Asset Allocation Under Model Risk (P Barrieu & S Tobelem)
Semi-Static Hedging Strategies for Exotic Options (H Albrecher & P Mayer)
Discrete-Time Variance-Optimal Hedging in Affine Stochastic Volatility Models (J Kallsen et al.)
Readership: Advanced undergraduates and graduate college students within the fields of finance and mathematical finance. Practitioners of the monetary trade concerned in portfolio choice and funding selections.
Rüdiger Kiesel heads the chair for “Energy Trading and Financial Services” on the University Duisburg-Essen. Previously he has been Director of the Institute for Mathematical Finance on the University of Ulm. He additionally held positions as Lecturer and Reader for actuarial science and monetary arithmetic at Birkbeck College, University of London and the London School of Economics, the place he’s nonetheless a Visiting Professor. He can also be a Visiting Professor on the Center of Applied Mathematics, Oslo University. His most important analysis areas are at the moment design and evaluation of credit score danger fashions, valuation and hedging of derivatives (interest-rate, credit- and energy-related), strategies of danger switch and structuring of danger (securitization), danger administration for energy utility corporations and the stochastic modelling of monetary markets utilizing Lévy-type processes. He is co-author of the Springer Finance monograph Risk-Neutral Valuation (now in its second version). Professor Kiesel additionally consults monetary establishments and regulators on (credit- and energy-) danger administration, spinoff pricing fashions and asset allocation.
Matthias Scherer is Senior Researcher on the HVB-Institute for Mathematical Finance on the Technische Universität München. With a doctorate from the University of Ulm, he coordinates the elite-graduate programme, “Finance and Information Management” and teaches numerous programs in mathematical finance. His analysis focus lies on credit-risk modelling, multivariate fashions, and dependence ideas.
Rudi Zagst is Professor of Mathematical Finance, Director of the Center of Mathematics and Head of the Institute for Mathematical Finance at TUM (Technische Universität München). He can also be President of risklab germany, a German-based consulting firm providing superior asset administration options. He is a guide and an expert coach to a lot of main establishments. His present analysis pursuits are in monetary engineering, credit score danger modelling and quantitative asset administration. Prior to his present positions he headed the Product Development group within the Institutional Investment Management at Hypovereinsbank, the Consulting group at Allfonds International Asset Management GmbH and was Managing Director of the RiskLab GmbH — Private Research Institute for Financial Studies. He was awarded “Professor of the Year 2007” in Germany by the journal Unicum Beruf for linking observe and schooling in an impressive means. He is creator of the ebook Interest Rate Management with Springer Finance and co-author of the books Zertifikate spielend beherrschen and Zu nah an der Sonne — Die gröβten Pleiten der Finanzgeschichte with Finanzbuch Verlag. He holds a PhD in Natural Sciences from the University of Ulm, Germany.